Some remarks on first passage of lévy processes, the American put and pasting principles

Annals of Applied Probability

Volumn 15, Issue 3, 2005, Pages 2062-2080

  Alili, L ^a   Kyprianou, A E ^a,b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b UTRECHT UNIVERSITY   (Netherlands)

Author keywords

American options; L vy processes; Optimal stopping; Principle of continuous pasting; Principle of smooth pasting

Indexed keywords

EID: 21244456162     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051605000000377     Document Type: Article

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